The Czech National Bank Communication:GARCH analysis of 3M PRIBOR rate and Czech 10Y government bonds
|Autor:||Mgr. Karas Pavel|
|Rok:||2014 - letní|
|Vedoucí:|| prof. Roman Horváth Ph.D.
|Typ práce:|| Rigorózní
|Abstrakt:||This thesis analyzes the effect of the Czech Natio
nal Bank’s (CNB) communication on the interest rate
volatility (PRIBOR reference rate). Starting with the literature survey about the central bank
communication in the world, I focus on the literature that concerns the CNB. To model the CNB’s
, I use the GARCH(1,1), EGARCH(1,1) and TARCH(1,1) models. I have created a unique
data set containing the dummy variables for the CNB communication. The results are as follows: (a)
the CNB’s communication tends to decrease the volatility, (b) timing of th
e communication has a key
role as the comments closer to the meeting have bigger calming effect, and that (c) there is no clear
effect concerning the comments of the Bank Board members in the media.